Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0033
Annualized Std Dev 0.1014
Annualized Sharpe (Rf=0%) 0.0322

Row

Daily Return Statistics

Close
Observations 3549.0000
NAs 1.0000
Minimum -0.0435
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0032
Maximum 0.0382
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0064
Skewness 0.1264
Kurtosis 4.3078

Downside Risk

Close
Semi Deviation 0.0045
Gain Deviation 0.0046
Loss Deviation 0.0044
Downside Deviation (MAR=210%) 0.0103
Downside Deviation (Rf=0%) 0.0044
Downside Deviation (0%) 0.0044
Maximum Drawdown 0.4059
Historical VaR (95%) -0.0094
Historical ES (95%) -0.0143
Modified VaR (95%) -0.0097
Modified ES (95%) -0.0140
From Trough To Depth Length To Trough Recovery
2011-10-31 2015-06-05 NA -0.4059 2362 904 NA
2008-12-18 2009-04-06 2009-11-27 -0.1365 238 74 164
2008-03-18 2008-08-15 2008-10-23 -0.1205 154 106 48
2009-12-01 2010-05-03 2010-08-03 -0.0876 169 105 64
2011-03-18 2011-04-06 2011-07-20 -0.0763 86 14 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.8 0.2 -0.2 -0.2 0 -0.4 0 -0.7 0.9 -1.1 1 0.1
2008 -0.1 1.5 -2.6 -0.5 0.2 0.1 0.1 0.7 0.3 -0.2 2.5 -0.4 1.6
2009 0.1 0.8 0.3 -0.6 -1.4 -0.3 0.9 0.2 -0.1 1.6 -0.3 -0.7 0.6
2010 -0.5 -0.3 -0.4 0.2 -0.1 0.9 0.5 -0.4 0.2 -0.2 -0.5 0.5 -0.2
2011 0.9 -0.1 -1.1 0.5 0.8 -0.4 -0.2 -0.3 -0.5 -0.2 -0.1 0.8 0.1
2012 0 0.2 -0.5 -0.4 0.2 -0.6 -0.5 0.4 0 -0.4 -0.4 -0.8 -2.6
2013 -1.5 -0.9 0.9 0.1 0.3 -0.4 -1.6 0 0.5 -0.4 -0.3 -0.2 -3.5
2014 0.6 0.3 -0.5 -0.1 -0.1 -0.3 0.3 -0.4 0.6 -2.7 0.3 -0.2 -2.1
2015 0.7 -0.1 0.2 -0.7 -0.6 -0.6 0.1 1.2 0.1 0.4 0.2 0.3 1.4
2016 0 -1 0.8 1.5 1.1 0.7 -0.3 0.3 -0.4 0.8 0.4 -0.3 3.6
2017 -0.3 -1.2 0.4 -0.3 -0.6 -0.4 -0.1 -0.3 -0.1 -0.4 0.9 0.2 -2.1
2018 -0.1 0.4 0.6 -0.5 -0.7 -0.2 0.2 -0.1 -0.3 0.1 -0.1 0.6 -0.3
2019 -0.5 -0.4 -0.6 0 1.1 -0.6 1.4 0.2 0.4 -0.1 0.1 0.1 1.1
2020 0.5 1.8 0.4 0.5 0.3 0.4 -1.1 0 0 -0.1 0.1 0 2.8
2021 -0.2 -0.2 0 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-02-13  82.7 SPY    145.  0.0084  -0.0016   0.0099   0.0469    0.142    0.246    0.298 GLD    65.8  2.60e-3   0.0162
2 2007-02-14  83.1 SPY    146.  0.0066   0.0028   0.0185   0.0533    0.152    0.259    0.311 GLD    66.4  8.00e-3   0.0269
3 2007-02-15  84.0 SPY    146.  0.0013   0.0054   0.0194   0.0521    0.141    0.266    0.299 GLD    66.4  6.00e-4   0.0136
4 2007-02-16  83.9 SPY    146. -0.0005   0.0124   0.0224   0.0438    0.137    0.254    0.300 GLD    66.4 -8.00e-4   0.0036
5 2007-02-20  83.5 SPY    146.  0.0021   0.0181   0.0225   0.043     0.131    0.263    0.317 GLD    65.3 -1.58e-2  -0.0055
6 2007-02-21  82.9 SPY    146. -0.0004   0.0091   0.0253   0.0399    0.133    0.267    0.342 GLD    67.3  3.02e-2   0.0219
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart